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For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

1 vote

Volatility forecast for 5-minute frequency data

I did my MSc thesis on this topic and found nonparametric methods such as SVR and RF outperform classic econometric specifications (ARCH, GARCH, EGARCH ect.). Similar results are found in the literatu …
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